4 papers
On the approximation of posterior laws in compound loss models by conditional Wasserstein GANs
Aleksandar Arandjelovic, Pavel V. Shevchenko, George Tzougas
Bayesian inference in compound loss models must often be repeated across policies, market scenarios, and prior specifications. Outside conjugate cases, this may require repeated nu…
Scenario-based actuarial climate risk assessment via calibration of the DICE model to the shared socioeconomic pathways
Daisuke Murakami, Pavel V. Shevchenko, Tomoko Matsui +2
Accounting for climate-related risks is an emerging problem for life insurers around the world. In this paper, we demonstrate how scenario trajectories for global temperature can b…
Solving stochastic climate-economy models: A deep least-squares Monte Carlo approach
Aleksandar Arandjelović, Pavel V. Shevchenko, Tomoko Matsui +2
Stochastic versions of recursive integrated climate-economy assessment models are essential for studying and quantifying policy decisions under uncertainty. However, as the number…
Optimal risk mitigation by deep reinsurance
Aleksandar Arandjelović, Julia Eisenberg
We consider an insurance company which faces financial risk in the form of insurance claims and market-dependent surplus fluctuations. The company aims to simultaneously control it…